This paper examines the intraday behaviour of five-minute FTSE-100, Short Sterling and
Long Gilt LIFFE futures returns volatility and volume. The intraday patterns identified exhibit …

This study examines the characteristics and behavior of the demand for hedging, proxied by
open interest, for the cross‐listed Euribor futures contract traded at Euronext‐LIFFE and …

Several futures contracts at LIFFE trade by open outcry for much of the day, followed by an
electronic evening trading session, offering a useful environment in which to test various …

This article investigates the determinants of trading volume for the Euribor futures contract
traded at both Euronext-LIFFE and Eurex. Granger causality tests suggest that volumes on …

Financial markets generally, and the spot foreign exchange market in particular, are reputed
to be excessively volatile. Previous research has linked this excess volatility to private …

Trading volume and order flow have both been closely associated with informed trader
activity in the market microstructure literature. Using theory that explains regular intraday …

This thesis tackles two big questions. The first, from the macroeconomic literature is: what
drives price? The second, from the market microstructure literature, is: what determines the …

The purpose of this thesis is to investigate the relationship between the annualised volatility
and correlation of G7 ten-year bond returns for the period July 1992 to June 1998 and the …